I think the imputation feature in PyMC3 is fantastic and really streamlines some workflows. However, I have noticed in some applications that it leads to slower NUTS sampling. For example, if I construct a regression model with N fully observed data points, it will sample faster than the same model …

I see. This is in general difficult to deal with. Either you fatten your prediction and observed, or use pm.Potential with mask like what you did in TFP.

Disabling missing data imputation

Questions

ckrapu April 27, 2020, 6:47pm 5

I forgot about pm.Potential. That should work nicely. Thanks a ton!

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Disabling missing data imputation

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